Systematic 13F Hedge Fund Alpha

39 Pages Posted: 15 Nov 2019 Last revised: 26 Dec 2019

See all articles by Luca Angelini

Luca Angelini

Novus Partners, Inc.

Mobeen Iqbal

BlackRock, Inc; Imperial College Business School

Farouk Jivraj

Fidelity Investments, Inc. - Fidelity Management & Research; Imperial College Business School

Date Written: October 3, 2019

Abstract

Institutions holding greater than $100 million in securities are required to disclose their holdings in US listed stocks to the Securities and Exchange Commission (SEC) no later than 45 days after the quarter-end, in a form known as 13F. We show that the "best ideas" of hedge funds produce economically meaningful and statistically significant risk-adjusted returns that outperform the S&P500, following tests identified in Cohen, Polk, and Silli (2010). We construct alternative measures that are more suitable for hedge funds, rather than mutual funds: conviction and consensus. We find that to systematically identify hedge fund alpha in the 13F filings, one must select the right group of managers that have longer-term views on stock picks. We construct a trading strategy that combines conviction and consensus of such managers that outperforms the S&P500 by 3.80% on average and delivers a Sharpe ratio of 0.75 over the period Q1 2004 to Q2 2019.

Keywords: 13F trading strategies, hedge fund holdings, hedge fund alpha, systematic trading strategies

JEL Classification: G11, G23

Suggested Citation

Angelini, Luca and Iqbal, Mobeen and Jivraj, Farouk, Systematic 13F Hedge Fund Alpha (October 3, 2019). Available at SSRN: https://ssrn.com/abstract=3459526 or http://dx.doi.org/10.2139/ssrn.3459526

Luca Angelini

Novus Partners, Inc. ( email )

200 Park Ave
27th Floor
New York, NY 10166
United States

Mobeen Iqbal (Contact Author)

BlackRock, Inc ( email )

Drapers Gardens
12 Throgmorton Avenue
London, EC2N 2DL
United Kingdom

Imperial College Business School ( email )

South Kensington Campus
Exhibition Road
London SW7 2AZ, SW7 2AZ
United Kingdom

HOME PAGE: http://www.imperial.ac.uk/people/m.iqbal14

Farouk Jivraj

Fidelity Investments, Inc. - Fidelity Management & Research ( email )

1 St. Martins Le Grand
London, EC1A 4AS
United Kingdom

Imperial College Business School ( email )

South Kensington campus
London, SW7 2AZ
United Kingdom

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